کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155438 | 958727 | 2016 | 32 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Solutions of martingale problems for Lévy-type operators with discontinuous coefficients and related SDEs
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We show the existence of Lévy-type stochastic processes in one space dimension with characteristic triplets that are either discontinuous at thresholds, or are stable-like with stability index functions for which the closures of the discontinuity sets are countable. For this purpose, we formulate the problem in terms of a Skorokhod-space martingale problem associated with non-local operators with discontinuous coefficients. These operators are approximated along a sequence of smooth non-local operators giving rise to Feller processes with uniformly controlled symbols. They converge uniformly outside of increasingly smaller neighborhoods of a Lebesgue null set on which the singularities of the limit operator are located.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 126, Issue 3, March 2016, Pages 703–734
Journal: Stochastic Processes and their Applications - Volume 126, Issue 3, March 2016, Pages 703–734
نویسندگان
Peter Imkeller, Niklas Willrich,